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    政大機構典藏 > 商學院 > 資訊管理學系 > 學位論文 >  Item 140.119/35205


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35205


    Title: Modeling Language for Dynamic Financial Analysis
    Authors: 連育麟
    Lien ,Yu-Ling
    Contributors: 蔡瑞煌
    謝明華
    Tsaih, Rua-Huan
    Sieh, Ming-Hua
    連育麟
    Lien ,Yu-Ling
    Keywords: 動態財務分析
    模型語言
    Dynamic Financial Analysis
    Modeling language
    Code generation
    Date: 2003
    Issue Date: 2009-09-18 14:26:28 (UTC+8)
    Abstract: 本研究旨在協助產險公司建立動態財務分析系統.
    Despite the promise of DFA, many insurers have grown increasingly frustrated with it. Evolution of DFA models leads to a vicious cycle of implementation, compilation and modification that disrupts the creative evolutionary modeling activity.

    To overcome this obstacle, MLDFA discussed in this paper provides an improved approach that would meet the desired requirements. MLDFA architecture plays a central role in its successful development. Model Transformation Systems makes a transformation from the conceptual model into programmed model by combining conceptions of Object Oriented Programming (OOP) and Code Generation. With the object-oriented style user interface, MLDFA provides the user with means to conveniently structure the model in a natural way.

    We believe that the proposed approach is suitable and feasible for the formulation and refinement of DFA models. Although MLDFA is in an early stage of implementation, it has the potential to bring DFA to a wider audience because it could help insurance companies in total cost reduction of the life cycle DFA system.
    Reference: 1. Ahlgrim, K. C., Arcy, S. P., and Gorvett, R. W., 1999 Summer, Parameterizing Interest Rate Models, Forums of the Casualty Actuarial Society, pp. 1-50
    2. Berger, A. J., and Madsen, C. K., 1999, A Comprehensive System for Selecting and Evaluating DFA Model Parameters, Proceedings of the Casualty Actuarial Society Forum, pp. 51-68
    3. Birge, J. R., Dempster, M. A. H., Gassmann, H. I., Gunn, E. A., King, A. J., and Wallace, S. W., 1987, A Standard Input Format for Multiperiod Stochastic Linear Programs, COAL Newsletter #17, pp. 1-19
    4. Brooke, A., Kendrick, D., Meeraus, A., and Raman R., 1998, GAMS: A User`s Guide, GAMS Development Corporation
    5. Choobineh, J., 1991, SQLMP: A Data Sublanguage for Representation and Formulation of Linear Mathematical Models, ORSA Journal on Computing, Volume 3, pp. 358-375
    6. DFA Committee of the Casualty Actuarial Society, 1999, DFA Research Handbook -Overview of Dynamic Financial Analysis
    7. Dotzauer, E., and Holmstrom, K., 1998, A Graphical User Interface for Nonlinear Programming in MATLAB, Annals of Operations Research, Modeling Languages and Approaches:Submitted
    8. Economist, 1999, Capital Punishment, Volume 350, Issue 8102, pp. 61
    9. Feldblum, S., 1995, Forecasting the Future: Stochastic Simulation and Scenario Testing, Forums of the Casualty Actuarial Society, pp. 151-178
    10. Fourer, R., 1983, Modeling Languages Versus Matrix Generators for Linear Programming, ACM Transactions on Mathematical Software, Volume 9, pp. 143-183
    11. Fourer R., Gay, D. M., and Kernighan, B. W., 1990, A Modeling Language for Mathematical Programming, Management Science, Volume 36, pp. 519-554
    12. Geoffrion, A.M., 1987, An Introduction to Structured Modeling, Management Science, Volume 33, pp. 547-588
    13. Geoffrion, A.M., 1989, The Formal Aspects of Structured Modeling, Operations Research, Volume 37, pp. 0-51
    14. Kaufmann, R., Gadmer, A., and Klett, R., 2001, Introduction to Dynamic Financial Analysis, ASTIN Bulletin 31, pp. 214-249
    15. Kuip, C.A.C., 1993, Algebraic Languages for Mathematical Programming, European Journal of Operations Research, Volume 67, pp. 25-51
    16. Lent, R., 2001, DFA interest rising but still not widely popular, National Underwriter, Volume 105, pp. 10-11
    17. Lowe, S., and Stanard, J., 1996, An Integrated Dynamic Financial Analysis and Decision Support System for a Property Catastrophe Reinsurer, Proceedings of the Casualty Actuarial Society Forum, pp. 89-118
    18. Ostaszewski, K. M., 1998, Applications of Resampling Methods in Dynamic Financial Analysis, Proceedings of the Casualty Actuarial Society Forum, pp. 169-206
    19. Pentikainen, T., Pesonen, M., and Daykin, C. D., 1993, Practical Risk Theory for Actuaries, Chapman & Hall
    20. Raghunathan, S., 1996, A Structured Modeling Based Methodology to Design Decision Support System, Decision Support Systems, Volume 17, pp. 299-312
    21. Tsaih, R., Liu, Y. J., Liu, W. C., and Lien, Y. L., 2004, Credit Scoring System for Small Business Loans, Decision Support Systems, Forthcoming
    22. Tu, T. S., 1998, The Application of Cumulative Distribution Functions in the Stochastic Chain Ladder Model, Proceedings of the Casualty Actuarial Society Forum, pp. 389-413
    23. Turban, E., 1995, Decision Support System and Expert System, 4th Edition, Prentice Hall
    24. Yu, L. Y., Ji, X. D., and Wang, S. Y., 2003, Stochastic Programming Models in Financial Optimization: A Survey, Advanced Modeling and Optimization, Volume 5, pp. 1-26
    Description: 碩士
    國立政治大學
    資訊管理研究所
    91356019
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091356019
    Data Type: thesis
    Appears in Collections:[資訊管理學系] 學位論文

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